Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0257 |
| Annualized Std Dev | 0.1494 |
| Annualized Sharpe (Rf=0%) | -0.1723 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4044.0000 |
| NAs | 1.0000 |
| Minimum | -0.1272 |
| Quartile 1 | -0.0031 |
| Median | 0.0000 |
| Arithmetic Mean | -0.0001 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0033 |
| Maximum | 0.1734 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0001 |
| Stdev | 0.0094 |
| Skewness | -0.0733 |
| Kurtosis | 66.9141 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0068 |
| Gain Deviation | 0.0077 |
| Loss Deviation | 0.0084 |
| Downside Deviation (MAR=210%) | 0.0118 |
| Downside Deviation (Rf=0%) | 0.0069 |
| Downside Deviation (0%) | 0.0069 |
| Maximum Drawdown | 0.5415 |
| Historical VaR (95%) | -0.0106 |
| Historical ES (95%) | -0.0211 |
| Modified VaR (95%) | -0.0030 |
| Modified ES (95%) | -0.0030 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2005-03-15 | 2020-03-18 | NA | -0.5415 | 4033 | 3779 | NA |
| 2005-03-08 | 2005-03-08 | 2005-03-10 | -0.0010 | 3 | 1 | 2 |
| 2005-03-11 | 2005-03-11 | 2005-03-14 | -0.0010 | 2 | 1 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | NA | 0.1 | -0.6 | -2.1 | 0.5 | 0.7 | 0 | 0.4 | 0.8 | 0.1 | -0.6 | 0.2 | -0.5 |
| 2006 | -0.2 | 0.4 | -0.1 | 0.2 | 0.4 | 0.4 | 0.1 | -0.2 | -1 | -0.5 | 0.5 | 0.6 | 0.4 |
| 2007 | 0.9 | 0.1 | -0.3 | -0.6 | -0.4 | 0.2 | -0.5 | 1.5 | 0.8 | -1 | 0.5 | 0.1 | 1.2 |
| 2008 | -0.4 | -1.6 | 1.7 | -0.1 | 0.4 | 0.1 | 0.6 | 0.2 | 3.5 | 0.9 | -3 | 1.5 | 3.7 |
| 2009 | -1 | -2.4 | 1.5 | 1.4 | 0.9 | 0.3 | 0.6 | -0.1 | -0.7 | -0.7 | 0.5 | -0.5 | -0.3 |
| 2010 | 0.4 | 0.2 | 0.4 | 0.5 | 1.1 | -0.6 | 0.2 | 0.1 | -0.4 | 0.5 | 0.5 | 0.6 | 3.6 |
| 2011 | 1 | -0.5 | -0.2 | 0.2 | 0.2 | 0.1 | 1.2 | 0 | -0.7 | -0.6 | -0.3 | -0.8 | -0.4 |
| 2012 | 0 | -0.5 | 0.4 | 0.5 | -0.8 | 0 | 0.4 | 0.5 | 0.4 | 0.3 | -1.1 | -0.3 | -0.2 |
| 2013 | 0 | -0.3 | -0.6 | -0.5 | -1.8 | -0.9 | -0.9 | 0 | -0.3 | -0.3 | -0.2 | -0.5 | -6.2 |
| 2014 | -0.4 | -0.1 | 0.3 | 0.1 | 0.1 | -0.2 | 0.3 | 0.2 | -0.3 | 0 | -0.1 | 0.8 | 0.6 |
| 2015 | 0.5 | 0.8 | -0.2 | 0.3 | -0.1 | 0.9 | 0.4 | 0.8 | -1.3 | 1 | 0 | 0.8 | 3.9 |
| 2016 | 0.1 | 0.8 | 0.4 | 0.1 | 0.1 | 0.4 | -0.1 | -0.1 | 1.2 | -0.2 | -0.2 | 0.4 | 2.8 |
| 2017 | -0.5 | 0.1 | 1.4 | -0.4 | 0 | 0.7 | -0.2 | 0 | 0.3 | -0.2 | 0.1 | 0.3 | 1.7 |
| 2018 | -0.1 | -1.2 | 0.5 | 0 | 0.1 | 0.4 | -0.3 | -0.9 | 0.3 | 0.6 | 0.2 | -0.8 | -1.2 |
| 2019 | 0.1 | 0.3 | -0.5 | 0.5 | 0.5 | -1.3 | 0.4 | 0.1 | 1.2 | 0 | 0 | 0.4 | 1.8 |
| 2020 | 0.1 | -3.8 | -2.9 | -1.2 | 0.9 | 0.2 | 0.2 | 0.5 | 0.3 | -0.1 | -0.2 | -0.1 | -6.1 |
| 2021 | 0.2 | 1.1 | 0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.7 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2005-02-24 20 SPY 120. 0.0066 -0.008 0.0287 0.0176 0.0467 0.0789 -0.130 GLD 43.3 -0.0021 0.019
2 2005-02-25 20 SPY 121. 0.0099 0.01 0.0358 0.0252 0.0565 0.0918 -0.103 GLD 43.5 0.0039 0.018
3 2005-02-28 20 SPY 121. -0.0066 0.002 0.0273 0.0193 0.0488 0.0804 -0.106 GLD 43.5 0.0005 0.018
4 2005-03-01 20.0 SPY 121. 0.005 0.0222 0.0324 0.029 0.0436 0.0907 -0.112 GLD 43.2 -0.0069 -0.008
5 2005-03-02 20.0 SPY 121. -0.0005 0.0144 0.0255 0.0278 0.0493 0.0653 -0.0945 GLD 43.2 0.0007 -0.0039
6 2005-03-03 20.0 SPY 121. 0.0004 0.0082 0.0194 0.0167 0.0478 0.0473 -0.0908 GLD 43.0 -0.0065 -0.0083
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
